Castaño, Elkin; Gallón, Santiago; Gómez, Karoll - In: Lecturas de Economía (2010) 73, pp. 131-148
Castaño et al. (2008) proposed a test to investigate the existence of long memory based on the fractional differencing parameter of an ARFIMA (p, d, q) model. They showed that using an autoregressive approximation with order equal to the nearest integer of p* = T1/3 for the short-term component...